Attempts to describe and explain socio-economic differences in health have mainly focused on adults. Little is known about the mechanisms of the relationship between socio-economic status (SES) and health in adolescence including inconsistent findings between SES and health among young people. Data were derived from representative samples of 13 and 15-year-old students in 33 European and North American countries (n=97,721) as part of the Health Behaviour in School-aged Children (HBSC) study 2001/2002. Multilevel logistic regression models were used to investigate socio-economic differences in self-rated health among adolescents and the contribution of health-related behaviours to the explanation of such differences. Odds ratios of self-rated health by family affluence were calculated before and after adjustment for behavioural factors (tobacco smoking, physical activity, television use, breakfast intake, consumption of fruits and vegetables). On average, adolescents from low affluent families had an odds ratio for low self-rated health of 1.84 for boys and 1.80 for girls, compared to those from high affluent families. The majority of behavioural factors were significantly associated with family affluence in all countries and explained part of the relationship between self-rated health and family affluence. Smoking, physical activity and breakfast consumption showed the largest independent effect on health. The present study suggests that behavioural factors in early adolescence partly account for the association between self-rated health and socio-economic status. Prevention programmes should target unhealthy behaviours of adolescents from lower socio-economic groups to help prevent future life-course disadvantages in terms of health and social inequalities.